Europa is one of the few places in the Solar system where we expect to find liquid water. One of the others is Mars, but most water there is solid - only small amounts of it occur in liquid form and only briefly. By contrast, Europa has a freaking underground ocean! Moreover, by some estimates it is larger in volume than all oceans on Earth combined [2].
Should we go check it out? Hell yeah!
[1] https://en.wikipedia.org/wiki/Phase_diagram [2] http://apod.nasa.gov/apod/ap120524.html